Calibration and hedging under jump diffusion

By C. He, J. S. Kennedy, Thomas F. Coleman, Peter A. Forsyth, Yuying Li, Kenneth R. Vetzal. 2007

97 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/82db9d19622a0e5f4741dd80049875ed617b21be

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Z. Chen
4. Attilio Meucci
5. Gianluca Fusai
6. Alexander Schied
7. Steven Kou
8. Y. Huang

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Z. Chen
4. Gianluca Fusai
5. Attilio Meucci
6. Jari Toivanen
7. Samuli Ikonen
8. S. Clift

Citations in the corpus

• Pricing discretely monitored Asian options under Levy processes (2008, methodology): “The calibration problem for the Merton model is ill-posed, as many different combinations of the mean jump size and its volatility reproduce option prices with about the same overall least square error, see He et al. (2006) and Cont and Tankov (2004b) where some regularization techniques based on ”
• The effect of modelling parameters on the value of GMWB guarantees (2008, background): “Methods for hedging contracts under jump diffusions are discussed in (He et al., 2006; Kennedy et al., 2006).”